{"id":18138,"date":"2012-03-19T22:18:59","date_gmt":"2012-03-20T02:18:59","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=18138"},"modified":"2012-03-19T22:18:59","modified_gmt":"2012-03-20T02:18:59","slug":"march-19-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=18138","title":{"rendered":"March 19, 2012"},"content":{"rendered":"

Greek CDSs are being settled at 21.5%<\/a>:<\/p>\n

Sellers of credit-default swaps on Greece will have to pay as much as $2.5 billion to settle contracts triggered by the nation\u2019s debt restructuring.<\/p>\n

The settlement was determined after dealers agreed a final value for Greek bonds of 21.5 percent of face value at an auction, according to administrators Markit Group Ltd. and Creditex Group Inc., and is in line with where the notes have been trading.<\/p>\n

Greek credit-default swaps are being settled after investors were forced to exchange their bonds at a loss in the biggest ever debt restructuring. The auction ends more than two years of speculation over whether the derivatives are reliable for insuring sovereign debt after European policy makers sought to prevent payouts on concern they\u2019d worsen the region\u2019s crisis.<\/p><\/blockquote>\n

OSFI has gone to the unprecedented step of issuing a news release regarding mortgage underwriting guidelines<\/a>. Naturally, there is no meat at all in the release, but the referenced draft guidelines<\/a> create the usual paperwork increase.<\/p>\n

DBRS has imposed new website conditions<\/a>:<\/p>\n

SITE Lockdown – Public Users must register<\/p><\/blockquote>\n

So now there will be more moronic spam for me to delete every day. And I just got less inclined to be civil when somebody calls from DBRS. Oh, well.<\/p>\n

I wrote a Letter to Toronto City Council regarding the Sheppard Avenue East subway<\/a>.<\/p>\n

It was a quiet day for the Canadian preferred share market, with PerpetualPremiums gaining 1bp, FixedResets flat and DeemedRetractibles losing 19bp. The Performance Highlights table is suitably short; volume was low.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.5991 %<\/td>\n2,463.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.54 %<\/td>\n3.93 %<\/td>\n38,170<\/td>\n17.39<\/td>\n1<\/td>\n0.5772 %<\/td>\n3,432.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.93 %<\/td>\n2.93 %<\/td>\n48,264<\/td>\n19.92<\/td>\n3<\/td>\n0.5991 %<\/td>\n2,659.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.92 %<\/td>\n2.82 %<\/td>\n52,366<\/td>\n1.25<\/td>\n6<\/td>\n-0.0707 %<\/td>\n2,504.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.27 %<\/td>\n-2.64 %<\/td>\n84,103<\/td>\n0.74<\/td>\n4<\/td>\n0.1994 %<\/td>\n2,680.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0707 %<\/td>\n2,290.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.40 %<\/td>\n2.75 %<\/td>\n100,443<\/td>\n0.12<\/td>\n25<\/td>\n0.0140 %<\/td>\n2,215.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.11 %<\/td>\n5.09 %<\/td>\n189,382<\/td>\n15.25<\/td>\n7<\/td>\n-0.1591 %<\/td>\n2,421.0<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.05 %<\/td>\n2.97 %<\/td>\n194,293<\/td>\n2.19<\/td>\n67<\/td>\n-0.0023 %<\/td>\n2,385.2<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.96 %<\/td>\n3.93 %<\/td>\n199,262<\/td>\n2.88<\/td>\n46<\/td>\n-0.1884 %<\/td>\n2,301.7<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
NA.PR.M<\/td>\nDeemed-Retractible<\/td>\n-1.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-05-15
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.80
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n-1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.51
\nBid-YTW : 5.31 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.86
\nBid-YTW : 5.60 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-03-19
\nMaturity Price : 17.85
\nEvaluated at bid price : 17.85
\nBid-YTW : 2.93 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
TD.PR.E<\/td>\nFixedReset<\/td>\n105,856<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.03
\nBid-YTW : 2.68 %<\/td>\n<\/tr>\n
BAM.PF.A<\/td>\nFixedReset<\/td>\n59,706<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-03-19
\nMaturity Price : 23.07
\nEvaluated at bid price : 24.92
\nBid-YTW : 4.46 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nFixedReset<\/td>\n42,788<\/td>\nScotia crossed 39,900 at 26.75.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.71
\nBid-YTW : 2.84 %<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nDeemed-Retractible<\/td>\n35,156<\/td>\nITG (who?) bought 19,800 from Nesbitt at 26.22.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-04-30
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.22
\nBid-YTW : 2.01 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n26,469<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.20
\nBid-YTW : 3.27 %<\/td>\n<\/tr>\n
MFC.PR.H<\/td>\nFixedReset<\/td>\n25,928<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-03-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.16
\nBid-YTW : 4.55 %<\/td>\n<\/tr>\n
There were 19 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
NA.PR.P<\/td>\nFixedReset<\/td>\nQuote: 27.16 – 27.80
\nSpot Rate : 0.6400
\nAverage : 0.4320<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.16
\nBid-YTW : 2.29 %<\/td>\n<\/tr>\n

FBS.PR.C<\/td>\nSplitShare<\/td>\nQuote: 10.56 – 10.93
\nSpot Rate : 0.3700
\nAverage : 0.2357<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-12-15
\nMaturity Price : 10.00
\nEvaluated at bid price : 10.56
\nBid-YTW : -2.64 %<\/td>\n<\/tr>\n

NA.PR.M<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.80 – 27.10
\nSpot Rate : 0.3000
\nAverage : 0.2250<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-05-15
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.80
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n

IAG.PR.E<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.80 – 26.30
\nSpot Rate : 0.5000
\nAverage : 0.4265<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.80
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n

PWF.PR.P<\/td>\nFixedReset<\/td>\nQuote: 25.77 – 26.04
\nSpot Rate : 0.2700
\nAverage : 0.1967<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-03-19
\nMaturity Price : 23.50
\nEvaluated at bid price : 25.77
\nBid-YTW : 3.22 %<\/td>\n<\/tr>\n

RY.PR.I<\/td>\nFixedReset<\/td>\nQuote: 26.10 – 26.36
\nSpot Rate : 0.2600
\nAverage : 0.1882<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.10
\nBid-YTW : 2.84 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Greek CDSs are being settled at 21.5%: Sellers of credit-default swaps on Greece will have to pay as much as $2.5 billion to settle contracts triggered by the nation\u2019s debt restructuring. The settlement was determined …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-18138","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/18138","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=18138"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/18138\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=18138"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=18138"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=18138"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}